33. mkt var*cell J14/(1+mkt (Beta/residual var)*{(Ri-
Ci= var*cell K14
Zi=
Rf)/Beta-C*)}
Optimum value of Ci for which all securities used in the calculation
Where C* =
of Ci have excess return-to-beta above Ci
Note In cell J14 and K14 the sum is till the securities which is last used not
the whole series (i=1 to i). Eg, if we are calculating for ACC, then
sum will be till ACC from DrReddy, i.e. from Rank 1 to Rank 4 only,
not till Rank 8
Weights Weights of the securities will be calculated by Z value of that
security divided by Total Z value. And the Total Z value will be till
the CutOff C, i.e. C*, Z not to be calculated for the Securities which
do not have there C less than their Excess return over Beta
∑{(Ri-Rf) Weights 2 2 2 2
Beta^2/ Var ∑{Beta^2/ Var} Ci Zi β xWj σεj xWj
*Beta / Var} Alloted
1.69941E-05 0.001932 1.69941E-05 0.191556 0.003548 8.63% 0.002202 129.5649
2.8316E-05 0.005114 4.53101E-05 0.505742 0.006708 16.32% 0.005943 209.8952
3.59202E-05 0.007759 8.12303E-05 0.764581 0.003 7.30% 0.004057 112.9319
7.31503E-05 0.013027 0.000154381 1.274538 0.005858 14.25% 0.015858 216.7834
0.000148252 0.021714 0.000302632 2.094059 0.006301 15.33% 0.041547 280.2434
0.000170558 0.031696 0.00047319 3.007268 0.009808 23.87% 0.053096 311.3087
0.000114464 0.038207 0.000587654 3.586127 0.004743 11.54% 0.022041 192.5617
5.42414E-05 0.039861 0.000641896 3.722383 0.00113 2.75% 0.001248 23.00677
0.000641896 0.041094 100%